Asset Allocation. William Kinlaw
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EXPOSURE TO LOSS WITHIN-HORIZON EXPOSURE TO LOSS REGIMES THE BOTTOM LINE RELATED TOPICS REFERENCES NOTES
31 CHAPTER 25: Statistical and Theoretical Concepts DISCRETE AND CONTINUOUS RETURNS ARITHMETIC AND GEOMETRIC AVERAGE RETURNS STANDARD DEVIATION CORRELATION COVARIANCE COVARIANCE INVERTIBILITY MAXIMUM LIKELIHOOD ESTIMATION MAPPING HIGH-FREQUENCY STATISTICS ONTO LOW-FREQUENCY STATISTICS PORTFOLIOS PROBABILITY DISTRIBUTIONS THE CENTRAL LIMIT THEOREM THE NORMAL DISTRIBUTION HIGHER MOMENTS THE LOGNORMAL DISTRIBUTION ELLIPTICAL DISTRIBUTIONS THE MAHALANOBIS DISTANCE PROBABILITY OF LOSS VALUE AT RISK UTILITY THEORY SAMPLE UTILITY FUNCTIONS ALTERNATIVE UTILITY FUNCTIONS EXPECTED UTILITY CERTAINTY EQUIVALENTS MEAN-VARIANCE ANALYSIS FOR MORE THAN TWO ASSETS EQUIVALENCE OF MEAN-VARIANCE ANALYSIS AND EXPECTED UTILITY MAXIMIZATION MONTE CARLO SIMULATION BOOTSTRAP SIMULATION REFERENCES NOTES
33 Index
List of Tables
1 Chapter 2TABLE 2.1 Expected ReturnsTABLE 2.2 Standard Deviations and CorrelationsTABLE 2.3 Optimal Allocation to Stocks and BondsTABLE 2.4 Conservative, Moderate, and Aggressive Efficient PortfoliosTABLE 2.5 Exposure to LossTABLE 2.6 Distribution of Wealth 15 Years Forward (as a Multiple of Initial I...
2 Chapter 3TABLE 3.1 Standard Deviation, Correlation, and Relative Volatility
3 Chapter 4TABLE 4.1 Time, Volatility, and Probability of LossTABLE 4.2 Expected Wealth and Expected UtilityTABLE 4.3 Probability of a Within-Horizon 10% Loss
4 Chapter 5TABLE 5.1 Attribution of Excess Dispersion of Triennial Relative ReturnsTABLE 5.2 Monthly and Triennial Standard Deviations and Correlations
5 Chapter 6TABLE 6.1 Correlation Asymmetry of Mean-Variance and Full-Scale Optimal Portf...
6 Chapter 7TABLE 7.1 Country Expected Returns, Standard Deviations, and CorrelationsTABLE 7.2 Misestimated Country Expected ReturnsTABLE 7.3 Distortion in Optimal Country WeightsTABLE 7.4 Exposure to Loss for Correct and Incorrect Country WeightsTABLE 7.5 Asset Class Expected Returns, Standard Deviations, and CorrelationsTABLE 7.6 Misestimated Asset Class Expected ReturnsTABLE 7.7 Distortion in Optimal Asset Class WeightsTABLE 7.8 Exposure to Loss for Correct and Incorrect Asset Class WeightsTABLE 7.9 Sensitivity of Weights to Changes in Expected ReturnTABLE 7.10 Sensitivity of Portfolio Standard Deviation to Changes in Expected...
7 Chapter 8TABLE 8.1 Principal ComponentsTABLE 8.2 Instability of Industry, Size, Value, and Momentum Portfolios
8 Chapter 10TABLE 10.1 Characteristics of realized three-year volatilities
9 Chapter 11TABLE 11.1 Expected and Actual Volatility of Private Equity (December 1996–Se...
10 Chapter 12TABLE 12.1 Skewness over Increasing Return IntervalsTABLE 12.2 Excess Kurtosis over Increasing Return IntervalsTABLE 12.3 Expected Utility for 75/25 Percent Stock/Bond PortfolioTABLE 12.4 Expected Utility for 45/55 Percent Stock/Bond PortfolioTABLE 12.5 The Curse of DimensionalityTABLE 12.6 Full-Scale and Mean-Variance Allocations and Characteristics
11 Chapter 13TABLE 13.1 Equivalence of Prediction from Linear Regression and Relevance-Wei...
12 Chapter 14TABLE 14.1 Henriksson–Merton Scores: Positive Versus Negative
13 Chapter 15TABLE 15.1 Potential Absolute and Relative Performance Outcomes
14 Chapter 16TABLE 16.1 Return and Risk Assumptions for Asset Classes and FactorsTABLE 16.2 Factor-Sensitive Optimal PortfoliosTABLE 16.3 Conditional Average Annual Returns of Factor-Sensitive Optimal Por...
15 Chapter 17TABLE 17.1 Expected Returns, Standard Deviations, and Correlations (Unadjuste...TABLE 17.2 Optimal Allocations Including and Excluding Real Estate (Unadjuste...TABLE 17.3 Expected Returns, Standard Deviations, and Correlations (Adjusted ...TABLE 17.4 Expected Return and Standard Deviation of Shadow Asset and Liabili...TABLE 17.5 Expected Returns, Standard Deviations, and Correlations (Adjusted ...TABLE 17.6 Optimal Allocations Accounting for Performance Fees, Valuation Smo...
16 Chapter 18TABLE 18.1 Linear Hedging Strategies and Their ConstraintsTABLE 18.2 Expected Returns, Standard Deviations, and Correlations for Assets...TABLE 18.3 Risk-Minimizing